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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Brent Crude Oil(ICE) as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   22 26 26 26 29 29 29 31 31 31 32
Closed Higher   12 14 12 16 19 19 13 16 21 18 18
Exceeded High   11 12 12 15 18 16 11 15 20 13 13
Scenario Percentage   92% 86% 100% 94% 95% 84% 85% 94% 95% 72% 72%
Avg Max Increase   8.27% 9.52% 10.59% 10.61% 10.69% 10.21% 9.87% 10.19% 14.34% 16.41% 7.22%
Max Increase   16.86% 20.24% 25.17% 24.34% 22.25% 33.88% 17.35% 19.80% 86.32% 53.95% 14.72%
Avg Days To Max Increase   13 15 15 19 18 16 18 17 18 16 15
Avg Max Decline   -2.18% -2.00% -3.22% -2.64% -3.21% -2.36% -1.85% -2.62% -2.44% -2.26% -2.21%
Max Decline   -8.69% -7.31% -9.86% -13.88% -9.24% -6.57% -4.93% -14.47% -13.69% -13.31% -12.61%
Avg Days to Max Decline   7 6 7 9 7 8 7 6 7 9 3
2020 Contract Condition   Yes Yes         Yes Yes Yes Yes  
Action   Yes Yes         Yes Yes Yes No  
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   22 26 26 26 29 29 29 31 31 31 32
Closed Lower   10 12 14 10 10 10 16 15 10 13 14
Penetrated Low   6 7 6 4 5 5 10 9 8 9 10
Scenario Percentage   60% 58% 43% 40% 50% 50% 63% 60% 80% 69% 71%
Avg Max Decline   20.91% 15.61% 14.63% 16.39% 9.25% 10.98% 9.37% 11.41% 12.62% 14.25% 11.30%
Max Decline   35.56% 25.56% 39.79% 43.54% 23.42% 23.02% 20.92% 33.34% 28.79% 49.34% 40.72%
Avg Days To Max Decline   18 16 14 15 7 19 17 13 16 19 17
Avg Max Increase   -1.47% -3.63% -3.04% -2.44% -4.93% -3.94% -1.24% -1.29% -3.85% -3.56% -1.99%
Max Increase   -7.05% -7.63% -6.39% -6.52% -16.00% -7.61% -2.99% -6.20% -21.51% -15.64% -10.83%
Avg Days to Max Increase   2 9 6 10 3 9 4 6 11 15 3
2020 Contract Condition       Yes Yes Yes Yes         Yes
Action       Yes Yes Yes No         Yes
High 58.71 59.82 62.63 65.60 58.31 53.56 43.00 39.67 44.25 45.55 46.99 46.57
Low 54.18 56.03 56.90 54.52 49.65 33.16 28.39 31.24 38.25 41.41 43.65 39.88
Close/Last 56.14 56.93 61.22 55.07 50.28 37.07 32.95 39.41 41.76 44.17 45.66 42.30

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